Sustainable and responsible investment dynamic cross-asset portfolio

Abstract

Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from January 2019 to December 2021, which was then analyzed using the DCC-GARCH analysis technique. The results show that adding Ripple, gold and bonds into a portfolio consisting of Sri-Kehati stocks can reduce the investment risk. The findings imply that investment managers and investors who have portfolios consisting of eco-friendly stocks such as Sri-Kehati stocks and bonds may reduce investment risk and balance their portfolios by adding gold or cryptocurrencies separately.

Keywords:

• DCC-GARCH
• dynamics portfolio
• hedging effectiveness
• optimal hedge ratio

JEL CLASSIFICATION:

• G11
• G15
• Q59

Acknowledgements

The authors would like to thanks Direktorat Riset dan Pengabdian Masyarakat, Kementerian Pendidikan, Kebudayaan, Riset dan Teknologi (Directorate of Research and Community Service, Ministry of Education, Culture, Research and Technology), Indonesia for funding this study by Grant Number: 072/E5/PG.02.00.PT/2022 and 001/LL6/PL/AK.04/2022.

Disclosure statement

No potential conflict of interest was reported by the authors.

Availability of data and materials

The datasets used and/or analysed during the current study are available on Bloomberg Terminal.

Authors’ contributions

All the authors have made an equal contribution to this study.

Ethics approval and consent to participate

Not Applicable

Consent for publication

Not Applicable

Additional information

Funding

This research funded by Direktorat Riset dan Pengabdian Masyarakat, Kementerian Pendidikan, Kebudayaan, Riset dan Teknologi (Directorate of Research and Community Service, Ministry of Education, Culture, Research and Technology), Indonesia. Grant Number: 072/E5/PG.02.00.PT/2022 and 001/LL6/PL/AK.04/2022.

Notes on contributors

Robiyanto Robiyanto

Robiyanto Robiyanto is an Associate Professor in the Department of Management, Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Indonesia. He is active as an academic researcher; his research interests are capital market, commodity market, market efficiency, corporate governance, and portfolio management.

Andrian Dolfriandra Huruta

Andrian Dolfriandra Huruta is an Assistant Professor in the Department of Economics, Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Indonesia. His field of research is in macroeconomics, microfinance, applied econometrics, advanced econometrics, and international trade.

Budi Frensidy

Budi Frensidy is a Full Professor in Capital Market from Universitas Indonesia, Depok, Indonesia. His research interests are capital market, corporate governance, and corporate finance.

Ashalia Fitri Yuliana

Ashalia Fitri Yuliana is a Research Associate at PT Samuel Sekuritas Indonesia, Jakarta, Indonesia. Her research interests are capital market, and corporate finance.